Description

Day One

Fundamentals of Spot and Forwards / Futures Commodity Markets
Instruments and Commodity Exchanges: LME, NYMEX, CBOT
Commodity Spot Markets: the importance of liquid indexes
Shipping and freight
Futures contracts and Price discovery
Theory of storage and convenience yield
The forward curve as a key element when trading commodities
Spot-forward relationship and shape of the forward curve
The different commodities markets:
Metals
Agriculturals
Water as the new commodity
Oil
Natural Gas
Electricity
Emissions
Case Study: Modelling the dynamics of the forward curve
Day Two

Commodity Options
Dynamics of commodity spot prices
Seasonality
The current bull cycle: mean-reversion or persistent upward trend in energy commodity price processes?
The unique features of electricity
Modelling energy commodity prices
Incorporating spikes in the trajectories
Options on commodity futures contracts
Plain-vanilla options on commodity spot prices
Exchange options for agricultural and energy commodities
Case study: Pricing a fuel power plant and tolling rights as a portfolio of Sparkspread option Incorporating emission rights in the valuation
Day Three

Advanced Topics
Investing in commodities as a new asset class:
A statistical analysis if recent data
The major commodity indexes
Enhancing the Markovitz frontier
Relationship between inventory and spot price volatility: the examples of agriculturals
Sugar, ethanol and exchange options
Metals and precious metals: the case of gold and silver
Volatility Smile in commodities: the inverse leverage effect
Correlations between oil and natural gas prices: the case of the UK and continental Europe
Asian Options and floating-strike Asian options: the example of the oil market
Calendar spread options and gas storage valuation
Volumetric and swing options in energy commodity contracts
Case Study: Structuring commodity linked Bonds